Exercise files will be provided for a number of courses. In the course view, any available files are to the right under Resources on the right side of the course page.
You will need to download the zip file and unzip the drawing and/or project files to a folder on your computer.
Alternatively you may see lesson files on individual lessons. The files there are the same as those in the zipped file for the course, it simply allows you to grab only the ones you want, instead of the entire zip file.
All courses are different, so be sure to download all the information at the course level including PDF instructions, if available.